If I was a really sharp unnamed trading firm >Momentum trading becomes increasingly profitable, and a large percentage of gross book >These names are extremely illiquid, and liquidating your holdings would kill the market >See fund that is extremely concentrated in single names >LP into said fund, knowing the size of the raise and forecastable market impact in single name equities, as well as risk limits (VaR, Vol, DD limit) >Unwind illiquid single name momentum book into the fresh new buying >When the market starts to nuke, you know exactly where said fund will begin getting liquidated >Scoop entire book in one block transaction and buyback the names you sold into the fund's top blasting Just maybe...
